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Lecture 1. 1
Financial Econometrics and Statistical
Arbitrage
Master of Science Program in Mathematical Finance
New York University
Administrative Details
Fall 2012
F
Volatility Forecasting I: GARCH Models
Rob Reider
October 22, 2012
Why Forecast Volatility
The three main purposes of forecasting volatility are for risk management, for asset allocation, and for taki
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Financial Econometrics and Statistical
Arbitrage
Master of Science Program in Mathematical Finance
New York University
Lecture 5
Fall 2012
Farshid Maghami Asl
G63.270
Volatility Forecasting II: Stochastic Volatility Models
and Empirical Evidence
Rob Reider
November 5, 2012
Introduction to Stochastic Volatility Models
Assume that returns on an asset are given by rt
Chapter 6
ARMA Models
6.1 ARMA Processes
In Section (4.6) we have introduced a special case (for p = 1 and q = 1) of a very
general class of stationary TS models called Autoregressive Moving Average
(
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Financial Econometrics and Statistical
Arbitrage
Master of Science Program in Mathematical Finance
New York University
Lecture 3
Fall 2012
Farshid Maghami Asl
G63.270
Copyright Protected (Do Not Copy)
Financial Econometrics and Statistical
Arbitrage
Master of Science Program in Mathematical Finance
New York University
Lecture 4
Fall 2012
Farshid Maghami Asl
G63.270
CHAPTER 4. STATIONARY TS MODELS
66
4.3 Moving Average Process MA(q)
Denition 4.5. cfw_Xt is a moving-average process of order q if
Xt = Zt + 1 Zt1 + . . . + q Ztq ,
(4.9)
where
Zt W N (0, 2 )
and 1 ,
Copyright Protected (Do Not Copy)
Financial Econometrics and Statistical
Arbitrage
Master of Science Program in Mathematical Finance
New York University
Lecture 2
Fall 2012
Farshid Maghami Asl
G63.270